Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0400
Annualized Std Dev 0.2762
Annualized Sharpe (Rf=0%) 0.1446

Row

Daily Return Statistics

Close
Observations 3647.0000
NAs 1.0000
Minimum -0.1308
Quartile 1 -0.0070
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0084
Maximum 0.1637
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0174
Skewness -0.2023
Kurtosis 9.6494

Downside Risk

Close
Semi Deviation 0.0127
Gain Deviation 0.0123
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0170
Downside Deviation (Rf=0%) 0.0125
Downside Deviation (0%) 0.0125
Maximum Drawdown 0.6865
Historical VaR (95%) -0.0260
Historical ES (95%) -0.0430
Modified VaR (95%) -0.0259
Modified ES (95%) -0.0422
From Trough To Depth Length To Trough Recovery
2008-05-20 2008-11-20 NA -0.6865 3232 130 NA
2007-10-30 2008-01-23 2008-04-16 -0.1862 116 58 58
2007-07-24 2007-08-16 2007-09-21 -0.1747 43 18 25
2007-02-27 2007-03-05 2007-03-21 -0.0916 17 5 12
2007-10-15 2007-10-22 2007-10-29 -0.0569 11 6 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA -0.3 -0.2 -0.2 0 -0.7
2007 1.1 -0.6 -0.1 -0.7 1.6 0.8 0.1 3 2.4 -3.8 1.6 -1 4.4
2008 3.1 -3.3 1.7 -0.9 -0.3 -2.7 -3 -0.8 -1.4 0.3 -9.4 2.1 -14.3
2009 -3 0 3.2 2 3.9 1.2 2.5 -2.4 -4.3 -4.4 3 -0.3 1.1
2010 3.3 1.6 2.1 -1.9 -2.1 0.4 -0.1 3.9 1.3 -0.1 2.8 0.3 11.8
2011 3 -1 0.7 0.6 -2.3 1 -0.8 -0.9 -3.3 -3.2 -0.5 0.4 -6.5
2012 1.6 1 1 0.5 -1.9 3.8 -0.1 1.5 1 1.2 -0.5 1.8 11.4
2013 1.2 -0.5 -1 -1.5 -1.8 0.7 1 -0.6 0.2 -0.8 0.7 0.4 -2.2
2014 -1 0 0.5 -0.6 -1.2 1 -0.6 0 -1.8 1.2 -0.4 -0.8 -3.8
2015 -0.6 0 0.2 1.6 -0.5 -0.5 0.3 -3.6 0.6 0 0.6 -0.8 -2.7
2016 0 2.6 -0.1 0.6 -0.1 0.7 -0.9 0.9 0.6 -0.3 0.2 -0.7 3.4
2017 0.8 1.8 -0.2 0.2 0.7 0.7 0.1 0.8 0.5 0.6 -0.4 0.1 5.8
2018 -0.3 -1.6 1.5 -0.7 1.4 0.9 -0.8 -0.8 0.7 2.8 -0.3 0.6 3.4
2019 0.3 0 1.9 -1.5 -0.8 0.5 -1.5 1.2 -1.3 1.5 -0.6 0.5 0.1
2020 -2 -1.8 -3.9 -2.2 1.5 -0.1 -1 1.4 -0.4 -0.1 2.4 -0.4 -6.6
2021 1.8 2.4 -0.5 NA NA NA NA NA NA NA NA NA 3.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-09-21  49.0 SPY    132. -0.00480 -0.0027    0.0134   0.0595   0.0906    0.286    0.336 GLD    58.0  1.21e-2   0.0133
2 2006-09-22  48.7 SPY    131. -0.003   -0.0037    0.0132   0.0565   0.0835    0.277    0.352 GLD    58.5  9.50e-3   0.0192
3 2006-09-25  48.7 SPY    132.  0.0077   0.0026    0.0218   0.0599   0.0909    0.310    0.316 GLD    58.5  0.        0.0046
4 2006-09-26  49.2 SPY    134.  0.0083   0.0134    0.029    0.078    0.0987    0.332    0.313 GLD    58.7  4.10e-3   0.032 
5 2006-09-27  50.0 SPY    134.  0.00120  0.00930   0.0254   0.0721   0.100     0.338    0.319 GLD    59.8  1.82e-2   0.0445
6 2006-09-28  50.3 SPY    134. -0.0004   0.0138    0.0238   0.0504   0.0988    0.325    0.307 GLD    59.8 -3.00e-4   0.0318
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart